Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.4636
Annualized Std Dev 0.6299
Annualized Sharpe (Rf=0%) 0.7360

Row

Daily Return Statistics

Close
Observations 3083.0000
NAs 1.0000
Minimum -0.3616
Quartile 1 -0.0141
Median 0.0034
Arithmetic Mean 0.0023
Geometric Mean 0.0015
Quartile 3 0.0206
Maximum 0.3551
SE Mean 0.0007
LCL Mean (0.95) 0.0009
UCL Mean (0.95) 0.0037
Variance 0.0016
Stdev 0.0397
Skewness -0.1977
Kurtosis 9.0644

Downside Risk

Close
Semi Deviation 0.0289
Gain Deviation 0.0276
Loss Deviation 0.0315
Downside Deviation (MAR=210%) 0.0318
Downside Deviation (Rf=0%) 0.0278
Downside Deviation (0%) 0.0278
Maximum Drawdown 0.7510
Historical VaR (95%) -0.0624
Historical ES (95%) -0.0958
Modified VaR (95%) -0.0579
Modified ES (95%) -0.0972
From Trough To Depth Length To Trough Recovery
2020-02-20 2020-03-23 2020-08-24 -0.7510 130 23 107
2018-10-04 2018-12-24 2019-07-11 -0.5971 192 56 136
2011-02-09 2011-08-19 2012-02-28 -0.5310 265 134 131
2009-01-07 2009-03-09 2009-04-09 -0.5186 65 42 23
2010-04-26 2010-08-31 2010-12-21 -0.4693 168 90 78

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA NA 3.5 3.5
2009 -8.4 -0.9 7.7 1.9 10.2 1.5 -0.3 -6.1 -8.5 -7.7 4.3 -3 -10.8
2010 4.4 4 -0.4 -6.6 -3.5 -1.3 -1.4 7.8 -0.3 1 6.5 -0.3 9.4
2011 5.1 -5.5 -0.8 0.3 -6.4 4.9 -0.5 -3.2 -8.2 -8 1.6 -1 -20.4
2012 3.1 1.8 -0.8 0.8 -8.4 8.5 -1 2 -0.6 4.8 -0.4 6.1 16
2013 3.6 0.4 -2.2 -2.2 -2.7 1.8 3.1 -1.4 2.5 0.2 1.4 1.8 6.5
2014 0.6 -0.5 3.5 0.4 0.3 3 -1.6 1.3 -4.7 4.7 -3.2 -3.6 -0.2
2015 -3.4 -1.3 -1 3.5 0.6 2 -0.9 -9.5 0.2 -1.8 2.7 -4.1 -12.9
2016 1.2 8.4 2.1 -2.4 -0.8 0.7 0.7 0.7 1.3 -2.6 -6.2 -2.6 -0.1
2017 1.9 4.1 -0.5 2.2 0.7 -0.2 1.2 -0.1 1.9 -0.1 -1.4 -1.7 8.1
2018 0.1 -4.9 5.7 3.8 5.3 -0.4 2.5 0.2 1.5 3.7 2.9 2.8 25.3
2019 1.9 1.9 4.1 -0.8 -4.9 4.5 -1.4 -0.2 -2.7 3.5 -1 0.7 5.3
2020 -8.3 2.7 -14.3 -8.5 0.1 0.3 7.8 6 3.2 -6.6 4 0.8 -14.4
2021 7.5 9.1 -1.2 NA NA NA NA NA NA NA NA NA 15.9

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart